Time varying volatility transmission: the case of emerging equity markets in Asia and Latin America, 1984 – 2004

Bellotti, Xijuan and Willams, Jonathan (2005) Time varying volatility transmission: the case of emerging equity markets in Asia and Latin America, 1984 – 2004. In: Globalization and Financial Services in Emerging Economies, 20-21 June, 2005, World Bank HQ, Washington DC. (Unpublished)

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Abstract

Using a multivariate BEKK GARCH model, we investigate volatility transmission i.e. spillover effects within and between emerging equity markets in Asia and Latin America. Our approach allows cross-border spillover effects to vary over time and we break the time series of market returns into four distinct time intervals which correspond with periods of equity market segmentation, liberalisation, financial crisis, and economic recovery. Generally, volatility transmission is time varying in emerging markets but it does not necessarily increase following equity market liberalisation. Our estimates suggest there are some differences in the evolution of volatility transmission between Asian and Latin markets. However, we find evidence of cross-border interdependencies between Asian and Latin equity markets.

Item Type:Conference or Workshop Item (Paper)
Keywords (uncontrolled):Paper has been presented in the USA conference
Research Areas:School of Science and Technology > Design Engineering and Mathematics
Business School > Economics and International Development
Business School > Accounting and Finance
ID Code:4069
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Deposited On:17 Mar 2010 14:36
Last Modified:19 Jul 2014 09:47

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